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Voluntary pre-trade anonymity and market liquidity

Martínez Sedano, Miguel Angel; Tapia, Mikel - In: Spanish journal of finance & accounting : the official … 50 (2021) 2, pp. 143-161

Persistent link: https://www.econbiz.de/10012549225

Quality portfolios and funding liquidity crises

Rubio, Gonzalo - In: Spanish journal of finance & accounting : the official … 49 (2020) 3, pp. 322-344

Persistent link: https://www.econbiz.de/10012255977

A nonparametric dimension test of the term structure

Gil-Bazo, Javier (contributor); Rubio, Gonzalo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 3

Persistent link: https://www.econbiz.de/10002652246

Portfolio choice and the effects of liquidity

González Flores, Ana; Rubio, Gonzalo - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10009355567

Macroeconomic and financial determinants of the volatility of corporate bond returns

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly journal of finance 5 (2015) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011414145

Estimating the elasticity of intertemporal substitution with leverage

González-Urteaga, Ana; Rubio, Gonzalo - In: The North American journal of economics and finance : a … 41 (2017), pp. 18-31

Persistent link: https://www.econbiz.de/10011878926

The joint cross-sectional variation of equity returns and volatilities

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of banking & finance 75 (2017), pp. 17-34

Persistent link: https://www.econbiz.de/10011742149

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

The cross-sectional variation of volatility risk premia

González-Urteaga, Ana; Rubio, Gonzalo - In: Journal of financial economics 119 (2016) 2, pp. 353-370

Persistent link: https://www.econbiz.de/10011589865

The risk aversion and uncertainty channels between finance and macroeconomics

Nieto Domenech, Belen; Rubio, Gonzalo - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014578143